Скачать или смотреть How to Simulate Rare Events in Black-Box Models Efficiently by Prof. Anand Deo

Prof. Anand Deo, Decision Sciences, IIMB, and co-author Karthyek Murthy, University of Southern California, in their recent research paper titled, ‘Achieving Efficiency in Black-Box Simulation of Distribution Tails with Self-Structuring Importance Samplers’, unpack the challenges of modeling rare, high-impact "Blackswan" events through advanced decision-making frameworks.

Using Extreme Value Theory (EVT) and a distributionally robust optimization framework, this paper proposes a novel method to incorporate tail-end risk into operational decisions.

The paper bridges a crucial research gap in understanding how infrequent occurrences can distort conventional risk models, making it ideal for researchers and practitioners in operations research, financial risk management, and strategic planning. Read the paper: https://pubsonline.informs.org/doi/10...

#Simulation #RiskModeling #BlackSwans #EVT #OperationsResearch